Project file won't open on "Do you want to open this file?"

I have an external user who cannot open an .mpp file from our PWA project center.  She gets a familiar some files contain viruses warning, but when she clicks Yes that she wants to open, nothing happens. I sent her the file in an email as a test and she can open it fine.  She does have the PWA domain in her IE Trusted Sites list. I would be grateful for any troubleshooting ideas. We are using the latest build of Project 2016.